NBarNarrowRange — N-Bar Narrow Range

The narrowest range of the last N bars — the NR4 and NR7 compression setups. Volatility contracts before it expands, and this is the simplest way to say “it has contracted”.

Signature

NBarNarrowRange(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. 4 for NR4, 7 for NR7. Default 7, bounds 2–100.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high and low.

Formula

$$ \text{NR} = 1 \text{ when } (H_t - L_t) \le \min(H_i - L_i,\ i \in \text{window}) $$

Warmup

period bars; 0 until the window is full.

Reading the value

nr.value
nr > 0

Example

class NR7Breakout(Strategy):
    """Buy the breakout that follows an NR7 compression bar."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        nr = NBarNarrowRange(7, on=self.trade)
        dh = DonchianHighTrue(2, on=self.trade)
        if nr.value_at(1) > 0 and self.trade.close > dh.value_at(1) and self.trade.is_flat:
            self.buy(self.trade, reason="NR7 breakout")
        if self.trade.close < dh.value * 0.98 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Break failed")

Notes

• Toby Crabel’s narrow-range setups.
• Proven by an assert-via-trade run on SPY daily (matched a strategy-side rolling minimum exactly on every bar; zero alarm trades).